TS Contributor

Spearman's rho will work on nonlinear relationships provided they are monotonic increasing/decreasing. Wikipedia has some good examples. For a non-monotonic, nonlinear relationship, I found reference to Hoeffding’s D, but know nothing about it.

I found in another paper that there is an R package for it: "The R function for Hoeffding’s D test is hoeffd (package Hmisc). The package Hmisc can be downloaded from the R Web page (http://www.r-project.org)."

Fortran must die

Usually I look on line. In this case I was not even sure where to look for this. In part because I don't know what the class of correlation estimators such as pearson, spearman, polychoric correlation are called.

I was sure spearman's rho would not work for non-linear relationships. Obviously that is not, completely, correct.

Omega Contributor

Super Moderator

Yes, there is. It's referred to as the L-correlation; which is based on L-comoments. L-comomentns are the expected values of linear combinations of the order statistics of the data....a difficult subject to delve into.

TS Contributor

Spearman's rho will work on nonlinear relationships provided they are monotonic increasing/decreasing. Wikipedia has some good examples. For a non-monotonic, nonlinear relationship, I found reference to Hoeffding’s D, but know nothing about it.

I found in another paper that there is an R package for it: "The R function for Hoeffding’s D test is hoeffd (package Hmisc). The package Hmisc can be downloaded from the R Web page (http://www.r-project.org)."